/BTfast_public

Event-driven backtesting, optimization and validation of trading systems. Public version

Primary LanguageC++

BTfast

Event-driven backtesting and optimization of trading systems

This is BTfast, written by Andrea De Simone. All rights reserved. 2019-2020.

BTfast is a software written in C++ to do event-driven backtesting, optimization and validation of trading systems.

Data Storage

  • CSV files

System Requirements:

  • Unix OS, with bash
  • C++17 compiler
  • gnuplot, for plotting

Use BTfast from command line (main directory):

  • Compile the code by typing “make”. This will create the executable bin/BTfast.o

  • Run BTfast by typing “./run”, which is a script to run bin/BTfast.o

  • To remove all output files, type “make clean”.

  • To plot results, run plotting scripts in bin/

Required files:

  • Configuration file: 'settings.xml'
  • Data file, in 'data_dir' directory
  • Strategy files: 'Strategy/strategyname.cpp', 'Strategy/strategyname.h', 'Strategy/StrategyName.xml'

Files to Edit:

  • Input settings (in 'settings.xml')
  • Strategy parameters (in 'Strategies/StrategyName.xml')